Abstract
In the pricing section, we have seen the importance of fat tail for the forward skew modeling and especially for Crash put options. The alpha process can be very useful to design a very good indicator to detect the beginning of large movements or alternatively to detect large movements.
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© 2015 Adil Reghai
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Reghai, A. (2015). Building Monitoring Signals. In: Quantitative Finance. Applied Quantitative Finance series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137414502_10
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DOI: https://doi.org/10.1057/9781137414502_10
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-49028-8
Online ISBN: 978-1-137-41450-2
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